OCSL Options History — July 2019

In July 2019, OCSL traded between $15.81 and $16.44. ATM implied volatility averaged 23.8%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 12.6% (HV 20d: 11.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.30.

Notable Days

2019-07-19: Highest Volume — 15 contracts
2019-07-03: Largest IV spike — 58.4% change
2019-07-03: Highest IV Rank — 39.9%
2019-07-03: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.04	$15.81	$16.44	$16.17	$15.96
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	23.8%	15.9%	42.5%	30.6%	24.3%
Expected Move	6.6%	4.6%	12.2%	8.8%	7.0%
HV 20d	11.2%	8.8%	13.1%	11.7%	10.4%
HV 60d	15.1%	14.7%	15.4%	15.2%	15.0%
IV Rank	15.8%	5.6%	39.9%	24.6%	16.5%
IV Percentile	40.7%	7.9%	83.7%	64.7%	47.6%
Term Structure	9.2%	-25.2%	112.7%	-13.2%	4.1%
VWIV	24.9%	20.1%	32.2%	20.1%	29.8%
Bid-Ask Spread %	32.92	12.53	83.46	83.46	26.87
Gamma HHI	1.00	0.99	1.00	0.99	1.00
Net GEX	-1.5K	-2.1K	-1.0K	-1.3K	-1.5K
Net DEX	-37.9K	-43.0K	-23.4K	-38.1K	-39.3K
Net VEX	-183	-222	-160	-185	-178
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.30	0.00	21.00	0.00	4.00
Total Volume	3.318	0	15	0	9
Total OI	146.909	139	163	139	163

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-07-01	$16.17	$15.00	30.6%	8.8%	11.7%	24.6%	0.0%	0.0%	-13.2%	-1.3K	-38.1K	-185	0.00	83.46	0	0	77	62
2019-07-02	$16.26	$15.00	26.9%	7.7%	11.6%	19.7%	0.0%	0.0%	-12.9%	-1.1K	-42.0K	-172	0.00	17.44	0	0	77	62
2019-07-03	$16.44	$15.00	42.5%	12.2%	12.2%	39.9%	0.0%	0.0%	-25.2%	-1.2K	-36.7K	-206	0.00	21.37	0	0	77	62
2019-07-05	$16.26	$15.00	25.8%	5.5%	12.8%	18.3%	20.1%	0.0%	4.5%	-1.0K	-42.5K	-169	0.00	63.45	1	0	77	62
2019-07-08	$16.14	$15.00	26.7%	5.4%	13.1%	19.5%	0.0%	0.0%	4.4%	-1.1K	-42.8K	-168	0.00	63.94	0	0	78	62
2019-07-09	$16.14	$15.00	28.0%	6.6%	12.6%	21.2%	0.0%	0.0%	-4.3%	-1.4K	-33.3K	-202	0.00	60.67	0	0	78	62
2019-07-10	$16.11	$15.00	19.5%	5.6%	12.5%	10.2%	0.0%	0.0%	3.5%	-1.2K	-41.7K	-179	0.33	63.32	1	0	79	62
2019-07-11	$15.99	$15.00	15.9%	4.6%	12.6%	5.6%	0.0%	0.0%	3.7%	-1.2K	-43.0K	-168	0.67	18.13	1	1	79	62
2019-07-12	$15.99	$15.00	18.6%	5.3%	12.4%	9.1%	0.0%	0.0%	3.5%	-1.4K	-40.6K	-179	0.67	17.53	1	1	79	63
2019-07-15	$16.05	$15.00	19.0%	5.4%	11.5%	9.6%	0.0%	0.0%	4.3%	-1.3K	-41.7K	-168	0.00	14.99	0	0	79	63
2019-07-16	$15.99	$15.00	19.8%	5.7%	11.5%	10.6%	0.0%	0.0%	4.6%	-1.4K	-38.9K	-177	0.00	63.58	0	0	79	63
2019-07-17	$16.05	$15.00	19.6%	5.6%	11.0%	10.4%	0.0%	0.0%	2.1%	-1.2K	-42.8K	-161	0.00	15.85	0	7	79	63
2019-07-18	$16.05	$15.00	20.0%	5.7%	11.0%	10.9%	0.0%	0.0%	1.8%	-1.3K	-42.7K	-160	0.00	12.53	0	7	79	69
2019-07-19	$16.02	$15.00	20.6%	5.9%	10.8%	11.6%	0.0%	0.0%	1.5%	-1.3K	-41.3K	-169	21.00	17.60	1	14	79	69
2019-07-22	$15.84	$15.00	20.6%	5.9%	10.6%	11.6%	0.0%	0.0%	9.9%	-2.0K	-32.7K	-197	1.67	27.81	1	2	78	74
2019-07-23	$15.84	$15.00	21.0%	6.0%	10.2%	12.2%	21.7%	0.0%	9.7%	-2.1K	-30.8K	-197	0.38	23.63	4	2	77	76
2019-07-24	$15.90	$15.00	21.0%	6.0%	10.0%	12.1%	20.6%	0.0%	78.8%	-1.7K	-36.6K	-193	0.38	24.32	4	2	80	76
2019-07-25	$15.84	$15.00	26.7%	7.7%	9.1%	19.5%	32.2%	0.0%	112.7%	-1.8K	-23.4K	-222	0.38	18.95	4	2	80	76
2019-07-26	$15.87	$15.00	25.9%	7.4%	9.1%	18.5%	29.8%	0.0%	1.6%	-1.9K	-28.6K	-207	0.36	23.12	5	2	80	76
2019-07-29	$15.81	$15.00	24.6%	7.0%	8.8%	16.8%	0.0%	0.0%	2.6%	-2.0K	-34.0K	-194	0.00	19.43	0	0	81	76
2019-07-30	$16.05	$15.00	26.2%	7.5%	10.5%	18.9%	0.0%	0.0%	4.0%	-1.5K	-41.2K	-170	0.00	26.31	1	0	81	76
2019-07-31	$15.96	$15.00	24.3%	7.0%	10.4%	16.5%	0.0%	0.0%	4.1%	-1.5K	-39.3K	-178	4.00	26.87	2	7	81	82